Finally!

<< You asked for it, and we listened. We've added labels to Gmail for mobile on Android-powered devices and the iPhone......To label an email, select a message then tap 'Label as..." from the drop-down menu on the Floaty Bar. In the pop-up menu, select the label(s) you would like to use and tap 'Apply'. Please note, you can add and remove existing labels to your emails in Gmail for mobile, but labels can only be created, renamed and deleted in the desktop version. >>

http://4.bp.blogspot.com/_4GHuwMk1foo/ShGptXeL6_I/AAAAAAAAAXM/flLmhhAiehU/s400/labels_post.jpg

http://googlemobile.blogspot.com/2009/05/iterative-web-app-gmail-for-mobile-gets.html